Search Results - "Kolkiewicz, Adam"

Optimal surrender policy for reverse mortgage loans.

Authors: Bernard, Carole Kolkiewicz, Adam Tang, Junsen

Source: Astin Bulletin. Sep2024, Vol. 54 Issue 3, p600-625. 26p.

Valuation of Reverse Mortgages with Default Risk Models.

Authors: Bernard, Carole Kolkiewicz, Adam Tang, Junsen

Source: Journal of Real Estate Finance & Economics. May2023, Vol. 66 Issue 4, p806-839. 34p. 4 Charts, 7 Graphs.

Discrete Time Ruin Probability for Takaful (Islamic Insurance) with Investment and Qard-Hasan (Benevolent Loan) Activities.

Authors: Puspita, Dila Kolkiewicz, Adam Ken Seng Tan

Source: Journal of Risk & Financial Management. Sep2020, Vol. 13 Issue 9, p1-24. 24p. 1 Chart.

Bayesian Analysis of a Threshold Stochastic Volatility Model.

Authors: Wirjanto, Tony S. Kolkiewicz, Adam W. Men, Zhongxian

Source: Journal of Forecasting. Aug2016, Vol. 35 Issue 5, p462-476. 15p.

EFFICIENT HEDGING OF PATH-DEPENDENT OPTIONS.

Authors: KOLKIEWICZ, ADAM W.¹

Source: International Journal of Theoretical & Applied Finance. Aug2016, Vol. 19 Issue 5, p-1. 27p.

Threshold Stochastic Conditional Duration Model for Financial Transaction Data.

Authors: Zhongxian Men Kolkiewicz, Adam W. Wirjanto, Tony S.

Source: Journal of Risk & Financial Management. Jun2019, Vol. 12 Issue 2, p1-21. 21p.

Bayesian Analysis of Asymmetric Stochastic Conditional Duration Model.

Authors: Men, Zhongxian Kolkiewicz, Adam W. Wirjanto, Tony S.

Source: Journal of Forecasting. Jan2015, Vol. 34 Issue 1, p36-56. 21p.

Projection pursuit based tests of normality with functional data.

Authors: Kolkiewicz, Adam Rice, Gregory Xie, Yijun

Source: Journal of Statistical Planning & Inference. Mar2021, Vol. 211, p326-339. 14p.

Subjects: Data modeling, Algorithms, Data analysis, Computational statistics, Data

Pricing Bermudan options using low-discrepancy mesh methods.

Authors: BOYLE, PHELIM P. KOLKIEWICZ, ADAM W. TAN, KEN SENG

Source: Quantitative Finance. Jun2013, Vol. 13 Issue 6, p841-860. 20p. 1 Diagram, 6 Charts, 6 Graphs.

Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes.

Authors: Kolkiewicz, Adam W. Lin, Fangyuan Sally

Source: North American Actuarial Journal. 2017, Vol. 21 Issue 3, p433-457. 25p.

Comparison of asymmetric stochastic volatility models under different correlation structures.

Authors: Men, Zhongxian McLeish, Don Kolkiewicz, Adam W. et al.

Source: Journal of Applied Statistics; Jun2017, Vol. 44 Issue 8, p1350-1368, 19p, 12 Charts, 4 Graphs

Sampling-based Inference of Time Deformation Models with Heavy Tail Distributions.

Authors: Men, Zhongxian Wirjanto, Tony S. Kolkiewicz, Adam W.

Source: Communications in Statistics: Simulation & Computation; 2016, Vol. 45 Issue 9, p3128-3148, 21p

Efficient Monte Carlo simulation for integral functionals of Brownian motion.

Authors: Kolkiewicz, Adam W.¹ wakolkie@uwaterloo.ca

Source: Journal of Complexity. Jun2014, Vol. 30 Issue 3, p255-278. 24p.

Subjects: Integral functions, Monte Carlo method, Brownian motion, Analysis of variance, Vector analysis, Brownian bridges (Mathematics), Mathematical sequences

An improved simulation method for pricing high-dimensional American derivatives

Authors: Boyle, Phelim P. Kolkiewicz, Adam W. Tan, Ken Seng

Source: Mathematics & Computers in Simulation. Mar2003, Vol. 62 Issue 3-6, p315. 8p.

Subjects: Monte Carlo method, Dynamic programming

Bayesian inference of asymmetric stochastic conditional duration models.

Authors: Men, Zhongxian Kolkiewicz, Adam W. Wirjanto, Tony S.

Source: Journal of Statistical Computation & Simulation. May2016, Vol. 86 Issue 7, p1295-1319. 25p.

SEMI-STATIC HEDGING FOR GMWB IN VARIABLE ANNUITIES.

Authors: Kolkiewicz, Adam Liut, Yan

Source: North American Actuarial Journal. 2012, Vol. 16 Issue 1, p112-140. 29p.

Best monotone M-estimators.

Authors: Kolkiewicz, Adam W.¹

Source: Canadian Journal of Statistics; Sep2003, Vol. 31 Issue 3, p329-347, 19p

Multiscale Stochastic Volatility Model with Heavy Tails and Leverage Effects.

Authors: Zhongxian Men Wirjanto, Tony S. Kolkiewicz, Adam W.

Source: Journal of Risk & Financial Management. May2021, Vol. 14 Issue 5, p1-28. 28p.

A MULTISCALE STOCHASTIC CONDITIONAL DURATION MODEL.

Authors: ZHONGXIAN MEN WIRJANTO, TONY S. KOLKIEWICZ, ADAM W.

Source: Annals of Financial Economics. Dec2016, Vol. 11 Issue 4, p1650020-1-1650020-28. 28p. 6 Charts, 10 Graphs.